MODELS OF STOCK MARKET PREDICTABILITY

I briefly review the success of past studies purporting to explain equity valuations and predict future equity returns. The Campbell‐Shiller mean reversion models are contrasted with an expanded version of the so‐called Federal Reserve model. At least from 1970 to 2003, Federal Reserve–type models did somewhat better at predicting long‐horizon returns than did a mean reversion model based on dividend yields and price‐earnings multiples. However, timing investment strategies based on any of these prediction models do no better than a buy‐and‐hold strategy. Although some predictability of returns exists, there is no evidence of any systematic inefficiency that would enable investors to earn excess returns.     

SINGLE-FACTOR DURATION MODELS: CANADIAN TESTS

Single-factor duration models of bond returns are derived from an underlying stochastic process of the term structure of interest rates. It is shown that beta in these models is a function of the parameters of the stochastic process and of implied measures of duration. Using unsmoothed Canadian monthly prices on default-free government bonds, the single-factor duration model is found to perform well from 1963 to 1986, but the hypothesis of stationarity of the duration-based bond returns model for the period cannot be accepted. Some of the underlying stochastic processes imply stationary models and some of them imply nonstationary bond return models. The models of this paper open the door to a variety of linear bond return models having a strong theoretical support based on a theory of the stochastic motion of the term structure.     

融资模式效率比较与我国融资模式的选择

从保持距离型融资模式与关系型融资模式的内在效率分析,在不同的法律制度和市场环境下,两种融资模式都具有其经济合理性;从世界融资模式的发展趋势来看,两者有相互融合的趋势;金融体制或银行系统的脆弱性并不是关系型融资模式的必然结果,而是其他因素扭曲了该模式的激励机制进而影响了其效率的结果.本文指出,由于通过市场获得信息的成本较高,信息租金较少以及资本市场的缺陷使退出成本较高.因此,现阶段我国企业的融资模式应采取过渡模式,即间接融资为主并逐渐减少,直接融资为辅并大力发展的过渡模式;目标模式应符合世界融资模式的趋势,是融两种融资方式于一体的有中国特色的融资模式.